!! The content of this package has now been improved and directly integrated in Distributions.jl !!
(For more details see this PR)
There is only one function exported :
KL which takes two arguments
q for an analytical formulation and an additional argument
n_samples for the sampling based approach.
The list of the pair of distributions supported analytically is given here
* Note that the generic approach is not optimized but only requires you to define
cov(p) on your distribution